Correlation Between Savencia and NRJ
Can any of the company-specific risk be diversified away by investing in both Savencia and NRJ at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Savencia and NRJ into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Savencia SA and NRJ Group, you can compare the effects of market volatilities on Savencia and NRJ and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Savencia with a short position of NRJ. Check out your portfolio center. Please also check ongoing floating volatility patterns of Savencia and NRJ.
Diversification Opportunities for Savencia and NRJ
Significant diversification
The 3 months correlation between Savencia and NRJ is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Savencia SA and NRJ Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NRJ Group and Savencia is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Savencia SA are associated (or correlated) with NRJ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NRJ Group has no effect on the direction of Savencia i.e., Savencia and NRJ go up and down completely randomly.
Pair Corralation between Savencia and NRJ
Assuming the 90 days trading horizon Savencia SA is expected to generate 1.35 times more return on investment than NRJ. However, Savencia is 1.35 times more volatile than NRJ Group. It trades about 0.02 of its potential returns per unit of risk. NRJ Group is currently generating about -0.28 per unit of risk. If you would invest 5,180 in Savencia SA on August 25, 2024 and sell it today you would earn a total of 20.00 from holding Savencia SA or generate 0.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Savencia SA vs. NRJ Group
Performance |
| Timeline |
| Savencia SA |
| NRJ Group |
Savencia and NRJ Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Savencia and NRJ
The main advantage of trading using opposite Savencia and NRJ positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Savencia position performs unexpectedly, NRJ can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in NRJ will offset losses from the drop in NRJ's long position.The idea behind Savencia SA and NRJ Group pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| NRJ vs. Television Francaise 1 | NRJ vs. Mtropole Tlvision SA | NRJ vs. Haulotte Group SA | NRJ vs. VIEL Cie socit |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Money Managers module to screen money managers from public funds and ETFs managed around the world.
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